How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9179	5.36***
α ARCH Response to squared shocks	0.1203	12.18***
β GARCH Volatility persistence	0.8791	89.15***

γ₁	0.1260	3.89***
γ₂	-0.3075	-3.80***
γ₃	0.3762	2.46**
γ₄	-0.4383	-1.70*

V-Lab

YPF SA Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other YPF SA Analyses